@mikeymike
UAEscsi.device isn't a real file--it's a virtual object created by the emulation, similar to uaehf.device and bsdsocket.library. The walkthrough referenced by adolescent is mostly correct.
Apart from UAEscsi.device support, you might also want to try the "Use ASPI SCSI layer" option, even if you're using an ATAPI CD-ROM drive (all IDE/ATAPI devices are considered "SCSI" in Windows NT/2000/XP/Server 2003 and are recognized by ASPI). Be sure to download the latest ASPI package from Adaptec.
There's one catch: if you have a real SCSI controller installed, WinUAE won't enumerate your ATAPI devices. I haven't investigated why, but I imagine it's an easy fix--maybe a project for a slow weekend.
Anyhow, I use AmiCDFS. CacheCDFS should work as well--see the WinUAE readme re: OS 3.9. If you go the "Add Directory" or "Add PC Drives at Startup" route, you won't get support for Rockridge extensions (long file names, case-sensitive file names, symbolic links, etc.), as WinUAE will be using Windows for file system access. On the other hand, if you don't have a UDF capable file system driver, Windows is your only option for access to UDF formatted CDs and DVDs.
Trev